Modelling wrong way risk

abseck01 · October 20th, 2011, 9:09 pm

Does anyone know how to or have a simple model for measuring WWR in CVA? I started doing something simple but hit a roadblock. Thanks.

seventwooff · October 21st, 2011, 10:45 am

You would need to model the credit and multiple risk factors that affect the value....a large data set!!Sokol(2010) talks about looking at the correlation between credit risk and exposure for a counterparty which is less daunting.

abseck01 · October 21st, 2011, 12:08 pm

I actually attended his webminar two days ago. didnt get much out of it, just chatter. I need implementation.